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Register a new userBayesian Update with Importance Sampling: Required Sample Size
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Added by
Zijian Wang
Publication date
2020
fields
Mathematical Statistics
and research's language is
English
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Importance sampling is used to approximate Bayes rule in many computational approaches to Bayesian inverse problems, data assimilation and machine learning. This paper reviews and further investigates the required sample size for importance sampling in terms of the $chi^2$-divergence between target and proposal. We develop general abstract theory and illustrate through numerous examples the roles that dimension, noise-level and other model parameters play in approximating the Bayesian update with importance sampling. Our examples also facilitate a new direct comparison of standard and optimal proposals for particle filtering.
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The Effective Sample Size (ESS) is an important measure of efficiency of Monte Carlo methods such as Markov Chain Monte Carlo (MCMC) and Importance Sampling (IS) techniques. In the IS context, an approximation $widehat{ESS}$ of the theoretical ESS definition is widely applied, involving the inverse of the sum of the squares of the normalized importance weights. This formula, $widehat{ESS}$, has become an essential piece within Sequential Monte Carlo (SMC) methods, to assess the convenience of a resampling step. From another perspective, the expression $widehat{ESS}$ is related to the Euclidean distance between the probability mass described by the normalized weights and the discrete uniform probability mass function (pmf). In this work, we derive other possible ESS functions based on different discrepancy measures between these two pmfs. Several examples are provided involving, for instance, the geometric mean of the weights, the discrete entropy (including theperplexity measure, already proposed in literature) and the Gini coefficient among others. We list five theoretical requirements which a generic ESS function should satisfy, allowing us to classify different ESS measures. We also compare the most promising ones by means of numerical simulations.
The Adaptive Multiple Importance Sampling (AMIS) algorithm is aimed at an optimal recycling of past simulations in an iterated importance sampling scheme. The difference with earlier adaptive importance sampling implementations like Population Monte Carlo is that the importance weights of all simulated values, past as well as present, are recomputed at each iteration, following the technique of the deterministic multiple mixture estimator of Owen and Zhou (2000). Although the convergence properties of the algorithm cannot be fully investigated, we demonstrate through a challenging banana shape target distribution and a population genetics example that the improvement brought by this technique is substantial.
Monte Carlo methods represent the de facto standard for approximating complicated integrals involving multidimensional target distributions. In order to generate random realizations from the target distribution, Monte Carlo techniques use simpler proposal probability densities to draw candidate samples. The performance of any such method is strictly related to the specification of the proposal distribution, such that unfortunate choices easily wreak havoc on the resulting estimators. In this work, we introduce a layered (i.e., hierarchical) procedure to generate samples employed within a Monte Carlo scheme. This approach ensures that an appropriate equivalent proposal density is always obtained automatically (thus eliminating the risk of a catastrophic performance), although at the expense of a moderate increase in the complexity. Furthermore, we provide a general unified importance sampling (IS) framework, where multiple proposal densities are employed and several IS schemes are introduced by applying the so-called deterministic mixture approach. Finally, given these schemes, we also propose a novel class of adaptive importance samplers using a population of proposals, where the adaptation is driven by independent parallel or interacting Markov Chain Monte Carlo (MCMC) chains. The resulting algorithms efficiently combine the benefits of both IS and MCMC methods.
Importance sampling (IS) is a Monte Carlo technique for the approximation of intractable distributions and integrals with respect to them. The origin of IS dates from the early 1950s. In the last decades, the rise of the Bayesian paradigm and the increase of the available computational resources have propelled the interest in this theoretically sound methodology. In this paper, we first describe the basic IS algorithm and then revisit the recent advances in this methodology. We pay particular attention to two sophisticated lines. First, we focus on multiple IS (MIS), the case where more than one proposal is available. Second, we describe adaptive IS (AIS), the generic methodology for adapting one or more proposals.
We consider an evolving system for which a sequence of observations is being made, with each observation revealing additional information about current and past states of the system. We suppose each observation is made without error, but does not fully determine the state of the system at the time it is made. Our motivating example is drawn from invasive species biology, where it is common to know the precise location of invasive organisms that have been detected by a surveillance program, but at any time during the program there are invaders that have not been detected. We propose a sequential importance sampling strategy to infer the state of the invasion under a Bayesian model of such a system. The strategy involves simulating multiple alternative states consistent with current knowledge of the system, as revealed by the observations. However, a difficult problem that arises is that observations made at a later time are invariably incompatible with previously simulated states. To solve this problem, we propose a two-step iterative process in which states of the system are alternately simulated in accordance with past observations, then corrected in light of new observations. We identify criteria under which such corrections can be made while maintaining appropriate importance weights.
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